amp; Wests nonparametric lag/bandwidth
selection and prewhitening by default.
Kind regards
From: Achim Zeileis <achim.zeil...@uibk.ac.at>
Sent: 31 May 2016 17:19
To: T.Riedle
Cc: r-help@r-project.org
Subject: Re: [R] sandwich package: HAC estimators
On Tue, 31 Ma
mmand. Which weights does this command
apply, which bandwith and which kernel?
Kind regards
From: Achim Zeileis <achim.zeil...@uibk.ac.at>
Sent: 31 May 2016 17:19
To: T.Riedle
Cc: r-help@r-project.org
Subject: Re: [R] sandwich package: HAC estimators
O
weyWest)
waldtest(m, vcov = NeweyWest)
Instead of NeweyWest other covariance estimators (e.g., vcovHAC, kernHAC,
etc.) can also be plugged in.
hth,
Z
From: Achim Zeileis <achim.zeil...@uibk.ac.at>
Sent: 31 May 2016 13:18
To: T.Riedle
Cc: r-help@r-proje
git into the waldtest() function.
Does that work to get chi2 under HAC standard errors?
From: Achim Zeileis <achim.zeil...@uibk.ac.at>
Sent: 31 May 2016 13:18
To: T.Riedle
Cc: r-help@r-project.org
Subject: Re: [R] sandwich package: HAC estimators
On Tue, 31
lf of Achim Zeileis
<achim.zeil...@uibk.ac.at>
Sent: 31 May 2016 08:36
To: Leonardo Ferreira Fontenelle
Cc: r-help@r-project.org
Subject: Re: [R] sandwich package: HAC estimators
On Mon, 30 May 2016, Leonardo Ferreira Fontenelle wrote:
Em Sáb 28 mai. 2016, às 15:50, Achim Zeileis escreveu
r-help@r-project.org
Subject: Re: [R] sandwich package: HAC estimators
On Mon, 30 May 2016, Leonardo Ferreira Fontenelle wrote:
> Em Sáb 28 mai. 2016, às 15:50, Achim Zeileis escreveu:
>> On Sat, 28 May 2016, T.Riedle wrote:
>> > I thought it would be useful to incorpo
On Mon, 30 May 2016, Leonardo Ferreira Fontenelle wrote:
Em Sáb 28 mai. 2016, às 15:50, Achim Zeileis escreveu:
On Sat, 28 May 2016, T.Riedle wrote:
> I thought it would be useful to incorporate the HAC consistent
> covariance matrix into the logistic regression directly and generate an
>
Em Sáb 28 mai. 2016, às 15:50, Achim Zeileis escreveu:
> On Sat, 28 May 2016, T.Riedle wrote:
> > I thought it would be useful to incorporate the HAC consistent
> > covariance matrix into the logistic regression directly and generate an
> > output of coefficients and the corresponding standard
On Sat, 28 May 2016, T.Riedle wrote:
Dear R users,
I am running a logistic regression using the rms package and the code
looks as follows:
crisis_bubble4<-lrm(stock.market.crash~crash.MA+bubble.MA+MP.MA+UTS.MA+UPR.MA+PPI.MA+RV.MA,data=Data_logitregression_movingaverage)
Now, I would like
Dear R users,
I am running a logistic regression using the rms package and the code looks as
follows:
crisis_bubble4<-lrm(stock.market.crash~crash.MA+bubble.MA+MP.MA+UTS.MA+UPR.MA+PPI.MA+RV.MA,data=Data_logitregression_movingaverage)
Now, I would like to calculate HAC robust standard errors
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